Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 3 1 1
Score -4.55 -5.46 -8.13
Market Cap (Millions USD) 2042.07 1992.14 2113.82
Predicted Beta 0.2 0.21 0.22
Idiosyncratic Volatility 1.19 1.41 2.01

Annualized return and volatility

EWG
Annualized Return 0.0303
Annualized Std Dev 0.2576
Annualized Sharpe (Rf=0%) 0.1176

Row

Daily Return Statistics

EWG
Observations 5112.0000
NAs 2.0000
Minimum -0.1129
Quartile 1 -0.0072
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0081
Maximum 0.1979
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0162
Skewness 0.1770
Kurtosis 9.6358

Downside Risk

EWG
Semi Deviation 0.0116
Gain Deviation 0.0116
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.6757
Historical VaR (95%) -0.0249
Historical ES (95%) -0.0385
Modified VaR (95%) -0.0225
Modified ES (95%) -0.0232
From Trough To Depth Length To Trough Recovery
2000-02-24 2003-03-12 2006-05-05 -0.6757 1585 779 806
2007-12-11 2009-03-09 2013-12-20 -0.6310 1544 320 1224
2018-01-24 2018-12-24 NA -0.2981 493 236 NA
2014-06-09 2016-02-11 2017-05-04 -0.2662 745 432 313
2006-05-11 2006-06-13 2006-10-26 -0.1758 120 23 97

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWG
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 1.2 0.9 0.0 1.3 1.0 0.0 -2.1 2.4 0.0 0.6 2.4 0.0 8.0
2001 -1.2 0.3 0.0 0.8 -0.5 0.0 0.9 0.0 0.3 2.6 0.0 0.0 3.2
2002 -0.1 0.7 0.4 0.3 0.0 -1.7 -3.9 0.0 4.8 1.6 0.0 0.0 2.1
2003 0.0 0.0 1.3 -0.5 0.0 -0.4 -1.6 0.0 3.8 0.0 2.0 0.0 4.5
2004 0.0 1.4 1.6 0.0 -1.0 -0.9 0.0 0.7 2.0 0.7 2.4 0.0 7.0
2005 1.4 0.2 -0.6 0.0 0.2 -0.5 1.5 0.5 0.0 -0.2 1.4 0.0 4.0
2006 0.7 1.4 0.0 -0.2 0.8 0.0 -1.0 0.4 0.0 -0.1 -0.4 0.0 1.5
2007 0.8 -1.7 0.0 0.6 0.8 0.0 0.5 0.0 1.4 -3.0 0.0 0.0 -0.7
2008 0.8 0.0 2.5 1.4 0.0 -0.6 -1.5 0.0 -1.4 0.0 -8.1 0.0 -7.1
2009 0.0 0.0 1.5 0.8 3.2 2.1 0.0 -3.5 -3.5 0.0 2.1 0.0 2.4
2010 1.8 1.3 1.6 0.0 -0.8 1.7 0.0 4.0 1.0 -0.5 3.9 0.0 14.7
2011 2.1 -1.7 1.7 0.0 -2.8 0.9 -2.9 -2.5 0.0 -5.3 -0.9 0.0 -11.1
2012 2.4 1.2 0.0 0.5 -3.4 0.0 -0.6 0.0 0.7 0.8 0.0 0.0 1.5
2013 1.5 -0.7 -0.5 -0.9 0.0 0.6 1.4 0.0 1.2 -0.5 0.0 0.0 2.1
2014 0.0 0.0 0.7 0.1 0.0 0.5 -1.6 0.0 -1.2 0.0 0.1 0.0 -1.4
2015 0.0 0.0 0.9 1.3 -0.3 0.9 0.0 -2.4 -0.8 0.0 0.1 0.0 -0.5
2016 -0.1 3.8 -0.8 0.0 0.1 0.3 -0.4 0.3 0.0 -0.8 -0.6 0.0 1.8
2017 0.3 1.4 0.0 0.6 0.4 0.0 0.9 0.3 0.0 0.8 -0.9 0.0 4.1
2018 -0.9 -1.9 0.0 -0.4 0.5 0.0 -0.8 0.0 0.5 1.3 0.0 0.0 -1.6
2019 0.1 1.1 1.4 -0.7 0.0 0.2 -0.1 0.0 -1.0 0.8 0.0 -0.1 1.9

Row

Rolling Performance Chart

Snail Trail Chart